LMNR Options History — June 2015

In June 2015, LMNR traded between $21.19 and $23.00. ATM implied volatility averaged 29.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.0% (HV 20d: 26.8%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 107.07.

Notable Days

  • 2015-06-15: Highest Volume — 395 contracts
  • 2015-06-24: Largest IV spike — 36.9% change
  • 2015-06-15: Highest IV Rank — 33.8%
  • 2015-06-03: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.00$21.19$23.00$21.63$22.23
Max Pain$21.50$20.00$30.00$30.00$20.00
ATM IV29.8%22.1%36.7%26.5%31.5%
Expected Move8.6%6.3%10.3%7.6%9.0%
HV 20d26.8%22.5%34.7%24.8%34.7%
HV 60d26.9%25.5%28.3%26.2%28.3%
IV Rank20.5%6.3%33.8%6.8%33.3%
IV Percentile45.2%4.0%90.5%13.5%60.7%
Term Structure1.9%-1.7%13.5%4.4%0.0%
VWIV30.2%18.9%35.8%30.6%33.7%
Skew 25d5.9%-6.3%36.6%-3.9%-1.3%
Skew 10d11.6%2.9%65.3%5.0%3.5%
Call IV 25d27.4%20.6%33.8%29.6%29.3%
Put IV 25d33.3%25.1%57.2%25.7%28.0%
Bid-Ask Spread %100.9291.29115.1295.41104.53
Gamma HHI0.810.590.990.640.88
Net GEX-19.7K-31.6K-7.4K-25.5K-10.5K
Net DEX202.0K82.1K340.2K254.0K119.3K
Net VEX-910-1.3K-622-988-815
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio107.0725.00345.00344.0025.00
Total Volume282.4550395345130
Total OI738.9552751,045869275

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$21.63$30.0026.5%7.6%24.8%6.8%30.6%-3.9%4.4%-25.5K254.0K-988344.0095.4113442867
2015-06-02$21.50$30.0029.9%8.6%24.5%9.4%0.0%-6.3%-1.1%-26.0K280.0K-1.0K0.0095.03002867
2015-06-03$22.00$30.0035.8%10.3%22.5%13.9%30.5%-2.3%-0.7%-22.8K215.5K-789344.00106.6013442867
2015-06-04$21.68$0.0026.0%9.1%22.7%6.3%0.0%7.4%-0.3%-25.4K230.2K-850344.0095.3913442867
2015-06-05$21.62$0.0029.8%8.7%22.7%9.3%35.8%8.1%1.1%-26.6K231.7K-820345.0097.1413452867
2015-06-08$21.69$20.0028.5%9.1%22.6%8.3%35.0%6.7%0.5%-25.3K222.9K-767345.0097.5213452868
2015-06-09$22.32$20.0036.7%9.7%24.9%14.6%33.0%9.5%-1.6%-15.7K161.8K-62240.6797.5093662868
2015-06-10$21.94$20.0032.8%9.4%24.5%11.6%31.4%9.3%-1.7%-25.6K261.7K-1.1K26.1494.6214366101,009
2015-06-11$21.57$20.0028.9%8.3%25.3%8.6%32.6%5.8%3.2%-31.6K340.2K-1.3K36.6098.8010366161,009
2015-06-12$22.01$20.0031.0%8.9%23.6%32.2%27.6%5.4%0.4%-19.5K227.3K-1.0K36.60100.4910366161,009
2015-06-15$21.20$20.0031.7%9.1%26.9%33.8%32.8%0.9%3.0%-29.9K292.8K-1.1K38.5091.2910385161,009
2015-06-16$21.19$20.0030.1%8.6%26.5%30.0%29.3%-0.3%2.3%-28.6K297.6K-1.1K38.5098.9610385161,029
2015-06-17$21.37$20.0030.7%8.8%26.8%31.3%32.6%2.5%1.9%-27.0K262.7K-1.1K38.50101.5810385161,018
2015-06-18$21.70$20.0029.0%8.3%27.6%27.3%31.2%4.2%3.1%-29.9K284.9K-1.1K38.50102.4010385161,018
2015-06-19$22.49$20.0030.1%8.6%30.6%29.9%35.2%9.5%2.3%-9.6K142.3K-88838.50100.2210385161,018
2015-06-22$22.80$20.0029.3%8.4%30.1%28.0%26.2%2.5%3.4%-8.8K101.6K-80128.80101.66514411265
2015-06-23$22.90$20.0022.1%6.3%29.4%10.5%18.9%36.6%13.5%-7.4K104.8K-83828.80115.12514411265
2015-06-24$22.70$20.0030.3%8.7%29.2%30.3%27.7%2.6%1.6%-9.1K98.3K-78528.80104.76514411265
2015-06-25$22.71$20.0031.5%9.0%27.8%33.3%27.6%2.4%-0.4%-9.6K102.3K-79328.80102.46514411265
2015-06-26$23.00$20.0022.6%6.5%28.0%11.7%19.7%34.0%6.9%-7.6K82.1K-71028.80110.56514411265
2015-06-29$21.82$20.0030.1%8.6%34.2%30.0%32.6%-4.4%-0.0%-11.2K130.5K-85025.00108.22512511265
2015-06-30$22.23$20.0031.5%9.0%34.7%33.3%33.7%-1.3%0.0%-10.5K119.3K-81525.00104.53512511264